RISK AND DECISION SUPPORT
Risk metrics calculator
Estimate portfolio Value at Risk, Conditional Value at Risk, Sharpe ratio and Sortino ratio from a small set of assumptions. Use the output to frame a better question - not to replace professional advice.
INPUTS
Set the scenario
Use annual percentages. The default values are illustrative and are not a recommendation.
SCENARIO OUTPUT
What the assumptions imply
These are model outputs, not predictions. Check the distribution, horizon, liquidity, correlation and data quality before relying on any risk estimate.
HOW TO READ IT
Useful for framing the conversation.
VaR estimates a loss threshold under the selected assumptions. CVaR looks beyond that threshold and estimates the average loss in the tail. Sharpe and Sortino compare excess return with total and downside risk.
The normal-return assumption is convenient but limited. It can understate fat tails, gaps, concentration, illiquidity and regime changes. Use a historical or Monte Carlo model when the decision requires a more complete analysis.
QUESTIONS
About this calculator
What does this risk metrics calculator estimate?
It estimates parametric Value at Risk, Conditional Value at Risk, Sharpe ratio and Sortino ratio from the inputs you provide. The result is an educational scenario, not a forecast or investment recommendation.
What assumptions does the calculator use?
The VaR and CVaR estimates use a normal-return approximation, annualized volatility, a 252-trading-day year and the selected confidence level. Real returns can be non-normal, illiquid and affected by gaps, correlations and changing volatility.
Can I use this calculator for investment decisions?
No. Use it to frame questions and compare scenarios, then validate the assumptions and results with a qualified financial professional. It is not financial, tax, legal or investment advice.
NEED THE RESULT EXPLAINED?
Turn the model into a decision memo.
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